Document Type masters report Author Name Gu, Chenchen Email Address skygcc at gmail.com URN etd-042711-230037 Title Option Pricing Using MATLAB Degree MS Department Mathematical Sciences Advisors Marcel Blais, Advisor Keywords control variates binomial model GBM Monte Carlo simulation Date of Presentation/Defense 2011-05-04 Availability unrestricted
This paper describes methods for pricing European and American options. Monte Carlo simulation and control variates methods are employed to price call options. The binomial model is employed to price American put options. Using daily stock data I am able to compare the model price and market price and speculate as to the cause of difference. Lastly, I build a portfolio in an Interactive Brokers paper trading  account using the prices I calculate. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
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